Lévy-Type Stochastic Integrals with Regularly Varying Tails

DOI10.1081/SAP-200056692zbMath1077.60042MaRDI QIDQ5316804

David Applebaum

Publication date: 15 September 2005

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

regular variationLévy measuresemimartingalepredictable mapping

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Sample path properties (60G17) Stochastic integrals (60H05)

Related Items (3)

On maximal inequalities for stable stochastic integrals ⋮ Extremal behavior of stochastic integrals driven by regularly varying Lévy processes ⋮ On the Mean of a Stochastic Integral with Non-Gaussian α-Stable Noise

Cites Work

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• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• Comparing the tail of an infinitely divisible distribution with integrals of its Levy measure
• Regular variation of GARCH processes.
• Point processes, regular variation and weak convergence
• Subexponentiality and infinite divisibility
• Lévy Processes and Stochastic Calculus
• Regularly varying functions

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